Conditional FAVAR and scenario analysis for a large data: case of Tunisia

Hajer Ben Romdhane and Nahed Ben Tanfous
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Hajer Ben Romdhane: Central Bank of Tunisia
Nahed Ben Tanfous: Central Bank of Tunisia

No 15-2017, IHEID Working Papers from Economics Section, The Graduate Institute of International Studies

Abstract: The aim of this paper is to compute the conditional forecasts of a set of variables of interest on future paths of some variables in dynamic systems. We build a large dynamic factor models for a quarterly data set of 30 macroeconomic and financial indicators. Results of forecasting suggest that conditional FAVAR models which incorporate more economic information outperform the unconditional FAVAR in terms of the forecast errors.

Keywords: FAVAR; Conditional FAVAR; Conditional Forecast. (search for similar items in EconPapers)
Pages: 24 pages
Date: 2017-07
New Economics Papers: this item is included in nep-ara and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:gii:giihei:heidwp15-2017

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